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How Can We Interpret the Estimates of the Full BEKK Model with Asymmetry? The Case of French and German Stock Returns

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  • Chikashi Tsuji

Abstract

This study conducts careful interpretations of the model parameters from the full Baba-Engle-Kraft-Kroner (BEKK) model with asymmetric effects. This study also includes a case study, in which we interpret the full BEKK model parameter estimates from the empirical examinations using French and German stock index returns. More concretely, in this paper, we firstly examine the model formula and obtain general interpretations of the full BEKK model parameters. This shall be particularly helpful to understand not only the structure of the full BEKK model but also the mechanisms of similar multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) models. After the above general considerations, this study also interprets the case results, in which the full BEKK model is applied to French and German stock index returns. The concrete illustrations demonstrated in this case study shall be also very useful for future related research.

Suggested Citation

  • Chikashi Tsuji, 2017. "How Can We Interpret the Estimates of the Full BEKK Model with Asymmetry? The Case of French and German Stock Returns," Business and Economic Research, Macrothink Institute, vol. 7(2), pages 342-351, December.
    • Handle: RePEc:mth:ber888:v:7:y:2017:i:2:p:342-351
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    References listed on IDEAS

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    5. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Nicola, 2015. "Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 70-92.
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    Cited by:

    1. Ashfaq, Saleha & Tang, Yong & Maqbool, Rashid, 2019. "Volatility spillover impact of world oil prices on leading Asian energy exporting and importing economies’ stock returns," Energy, Elsevier, vol. 188(C).

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    More about this item

    Keywords

    French stock market; BEKK model; MGARCH model; German stock market;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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